3 Answers
3

You won't know who made the trade, so you'll need to look at the quotes. Specifically, you should look to see if there are a lot of cancellations in the full order book. That will tell you if there's higher "churn" for a particular stock since HTFs often have low fill ratios (<1% for some shops). But you'll need to control for volatility since wild market swings in general will cause market makers to pull their quotes.

A simple way to do this with the TAQ database (Nasdaq trade and quote) is to measure the amount of time between a quote update and a trade inside that quote. The shorter that time, the higher probability HFT is present.

$\begingroup$@chrisaycock: i should have have been clearer. choose the trade time and sales as your basis, and see how long it takes the quote to catch up to the trades(TAQ, or NBBO, or other). Most HFT, in equities, is based on the lag between RegNMS feed, and the exchange/colo feed.$\endgroup$
– glyphardFeb 25 '11 at 16:49

$\begingroup$Interesting. I suppose there are two differing situations: there can be high frequency "interest" that doesn't lead to a lot of actual executions (which would be characterized by a lot of quotes, cancels and relatively few executions. Then there is actual HF "trading" where we'll see the higher number of quotes, a lot of cancels AND a lot of executions. Presumably we'd also see the avg execution size drop. Clearly the best measurement will need to take into account the different HFT strategies.$\endgroup$
– tdeletFeb 25 '11 at 19:43

$\begingroup$@user483: here's a good source to get a handle on the order cancellations that chrisacock talks about and the quote lagging that I referred to: nanex.net/FlashCrash/CCircleDay.html$\endgroup$
– glyphardFeb 26 '11 at 16:05